Any through-hole part can be socketed. The point of the socket is to make a permanent connection from board->socket, rather than the normal board->part, so parts can be swapped in and out without having to de- and re-solder every time. The type of part doesn't matter so long as you make a good connection.

Yes they most certainly can be socketed, just be mindful of getting the Led connected up the correct way as it won't light up if it's connected up incorrectly, also make sure you have a current limiting resistor connected from the +V supply to the Led's anode, at least 1k for a standard led with a +9V supply, if you don't include the current limiting resistor the Led will explode and will stink....

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